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Stochastic Processes with Applications to Finance, Second Edition, Kijima



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Автор: Kijima
Название:  Stochastic Processes with Applications to Finance, Second Edition
Издательство: Taylor&Francis
Классификация:
Финансы
Прикладная математика

ISBN: 143988482X
ISBN-13(EAN): 9781439884829
ISBN: 1-439-88482-X
ISBN-13(EAN): 978-1-439-88482-9
Обложка/Формат: Hardback
Страницы: 343
Вес: 0.608 кг.
Дата издания: 05.06.2013
Серия: Chapman & hall/crc financial mathematics series
Язык: English
Издание: 2 revised edition
Иллюстрации: 3 tables, black and white; 27 illustrations, black and white
Размер: 236 x 162 x 21
Читательская аудитория: Postgraduate, research & scholarly
Ключевые слова: Applied mathematics, BUSINESS & ECONOMICS / Finance,MATHEMATICS / General,MATHEMATICS / Probability & Statistics / General
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry. New to the Second Edition A chapter on the change of measures and pricing of insurance products Many examples of the change of measure technique, including its use in asset pricing theory A section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivatives Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets. By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.



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Core principles and applications of Corporate Finance, global edition

Автор: Ross Stephen
Название: Core principles and applications of Corporate Finance, global edition
ISBN: 0071221166 ISBN-13(EAN): 9780071221160
Издательство: McGraw-Hill
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Описание: Conveys important corporate finance concepts and applications. This text distills the subject of corporate finance down to its core, while also maintaining a decidedly modern approach.

Stochastic Processes

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 6901 р.
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Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Stochastic Calculus for Finance II

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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Цена: 5742 р.
Наличие на складе: Заказано в издательстве.

Описание: Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance

Автор: Chung K. L., AitSahlia Farid
Название: Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance
ISBN: 038795578X ISBN-13(EAN): 9780387955780
Издательство: Springer
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Описание: Provides an introduction to probability theory and its applications.

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Название: Stochastic processes: basic theory and its applications
ISBN: 9812706267 ISBN-13(EAN): 9789812706263
Издательство: World Scientific Publishing
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Описание: Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications. Written in a simple and accessible manner, this book addresses that inadequacy and provides guidelines and tools to study the applications. The coverage includes research developments in Markov property, martingales, regenerative phenomena and Tauberian theorems, and covers measure theory at an elementary level.

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Автор: Bhattacharya, Rabi N. Waymire, Edward C.
Название: Stochastic processes with applications
ISBN: 0898716896 ISBN-13(EAN): 9780898716894
Издательство: Eurospan
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Описание: This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time properties such as transience, recurrence, and convergence to steady states. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes. The book features very broad coverage of the most applicable aspects of stochastic processes, including sufficient material for self-contained courses on random walks in one and multiple dimensions; Markov chains in discrete and continuous times, including birth-death processes; Brownian motion and diffusions; stochastic optimization; and stochastic differential equations. This book is for graduate students in mathematics, statistics, science and engineering, and it may also be used as a reference by professionals in diverse fields whose work involves the application of probability.

Stochastic Modeling and Optimization / With Applications in Queues, Finance, and Supply Chains

Автор: Yao David D., Zhang Hanqin, Zhou Xun Yu
Название: Stochastic Modeling and Optimization / With Applications in Queues, Finance, and Supply Chains
ISBN: 0387955828 ISBN-13(EAN): 9780387955827
Издательство: Springer
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Описание: This book covers the broad range of research in stochastic models and optimization. Applications covered include networks, financial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Stochastic Simulation and Applications in Finance with Matlab Programs

Автор: Huynh
Название: Stochastic Simulation and Applications in Finance with Matlab Programs
ISBN: 0470725389 ISBN-13(EAN): 9780470725382
Издательство: Wiley
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Цена: 8084 р.
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Описание: Explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, this book provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering.

Stochastic Algorithms: Foundations and Applications / Second International Symposium, SAGA 2003, Hatfield, UK, September 22-23, 2003, Proceedings

Автор: Albrecht Andreas, SteinhГ¶fel Kathleen
Название: Stochastic Algorithms: Foundations and Applications / Second International Symposium, SAGA 2003, Hatfield, UK, September 22-23, 2003, Proceedings
ISBN: 3540201033 ISBN-13(EAN): 9783540201038
Издательство: Springer
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Цена: 6269 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book constitutes the refereed proceedings of the Second International Symposium on Stochastic Algorithms: Foundations and Applications, SAGA 2003, held in Hatfield, UK in September 2003.The 12 revised full papers presented together with three invited papers were carefully reviewed and selected for inclusion in the book. Among the topics addressed are ant colony optimization, randomized algorithms for the intersection problem, local search for constraint satisfaction problems, randomized local search and combinatorial optimization, simulated annealing, probabilistic global search, network communication complexity, open shop scheduling, aircraft routing, traffic control, randomized straight-line programs, and stochastic automata and probabilistic transformations.

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Автор: Pardoux
Название: Markov Processes and Applications - Algorithms, Networks, Genome and Finance
ISBN: 0470772719 ISBN-13(EAN): 9780470772713
Издательство: Wiley
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Описание: The book presents a detailed mathematical introduction to the main classes of Markov processes together with their applications in various fields. It has been developed from a number of successful courses taught by the author to a wide-ranging student audience, including in Mathematicians, Engineers and Biologists.

Stochastic processes

Автор: Parzen, Emanuel
Название: Stochastic processes
ISBN: 0898714419 ISBN-13(EAN): 9780898714418
Издательство: Eurospan
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Описание: This introductory textbook explains how and why probability models are applied to scientific fields such as medicine, biology, physics, oceanography, economics, and psychology to solve problems about stochastic processes. It does not just show how a problem is solved but explains why by formulating questions and first steps in the solutions.

Stochastic processes and applications to mathematical finance - proceedings of the 5th ritsumeikan international symposium

Название: Stochastic processes and applications to mathematical finance - proceedings of the 5th ritsumeikan international symposium
ISBN: 9812565191 ISBN-13(EAN): 9789812565198
Издательство: World Scientific Publishing
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